本文研究目的主要在探討中國大陸第五次採取緊縮性貨幣政策調控宏觀經濟對經濟產出及物價水準之動態關係，其中國內生產毛額(GDP)及居民消費價格指數(CPI)資料來源分別取自國際金融統計資料庫，而貨幣供給量(m)則為中國人民銀行所公布之數據。 研究內容可分為二部分：第一部分利用結構化向量自我迴歸（Structural Vector Autoregression；SVAR）模型測試貨幣供給量對經濟產出與物價水準間之動態關係。第二部分藉由衝擊反應函數及預測誤差變異數分解，來檢視貨幣政策、經濟產出及價格水準等變數之相互影響程度及在短期下資訊傳遞的過程和速度。實證結果概要說明如下： 一、貨幣政策與經濟產出、價格水準間之動態關係：中國大陸貨幣當局採取緊縮性貨幣政策時，對於物價水準及經濟產出分別於落後1期及落後2期產生影響，但其控制效果並不佳。探究其主要原因為中國大陸政府部門的監管體制不完善，導致部門之間政策目標相互衝突，此外，利率政策和外匯機制不夠完善，亦是造成貨幣政策部分失效的重要原因。 二、衝擊反應函數分析：當貨幣供給量產生一單位結構性衝擊時對經濟產出在第3期後開始轉呈正向之衝擊，隨後開始減弱並上下波動後再逐漸收斂至穩定狀態。另一方面，貨幣供給量衝擊對物價水準呈正向反應，從長期來看，物價水準對於貨幣供給量之結構性衝擊始終保持正向反應，但反應效果並不顯著。再次驗證中國大陸貨幣當局採取的緊縮性貨幣政策不論對經濟產出及物價水準之控制能力相當有限。 The primary purpose of this thesis is to discuss the dynamic relationships between economic outputs and prices caused by the fifth tight monetary policy adopted by China under macro economic control. Structural Vector Autoregression (SVAR) model is first estimated, from which generates impulse response function and forecast error variance decomposition to captures the dynamic characteristics of economic outputs and prices. The empirical results indicate that while the Authority of China undertook tight monetary policy, effects on economic outputs and prices lagged for one period and two periods separately. Moreover the effectiveness of policy was not satisfied. In impulse response function, the impact on economic outputs turned positive after third period when money supply produced one unit functional impulse. Such influence subsequently declined and fluctuated and gradually converged to steady state. On the other hand, the impact on prices caused by money supply remained positive. However the result was not significant. As has been noted, the effectiveness of tight monetary policy adopted by Authority of China is relatively limited.
